Hedging or Speculation: What Can We Learn from the Volume-Return Relationship?

被引：2

作者：

Huang, Lin ^{[1
]}

Zhang, Dayong ^{[1
]}

机构：

[1] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu 611130, Peoples R China

来源：

EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷 / 06期

关键词：

Chinese stock market; information asymmetry; Markov switching; stock return; trading volume; STOCK TRADING VOLUME; TECHNICAL ANALYSIS; INFORMATION; PRICES; MODEL; EQUILIBRIUM; VOLATILITY; REVERSALS;

D O I：

10.1080/1540496X.2015.1080501

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the volume-return relationship using data from the Chinese stock market. Drawing on a recent theoretical model on the volume-return relationship, we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov-switching model is used to augment the basic model. Allowing the underlying model to switch between two regimes reveals further information that investors' motivation in the Chinese stock market is sensitive to the general market conditions.

引用

页码：1117 / 1128

页数：12

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